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Jun 04 - 02:55 AM

EUR/USD - Options Raise Volatility Risk, But Not Downside Premium

By Richard Pace  —  Jun 04 - 02:28 AM
  • EUR/USD flagged topside congestion well before Thurs USD gains nL2N2NB0HR

  • Options had already lost their topside premium in 1-3-month risk reversals

  • But despite spot setback, options havent adopted downside volatility premium

  • Might suggest a lack of conviction that EUR/USD can fall too far

  • Implied volatility marginally higher-1-week 6.75 to 7.0, 1-month 5.7 to 5.85

  • EUR/USD is still within well worn ranges, so no panic to change positioning

  • Overnight (next day) volatility premium/break-even has increased

  • $58 pips in either direction vs $51 pips Thur, $38 pips before NFP capture

  • Related comment nL2N2NL0RT

For more click on FXBUZ

EUR/USD 1-3 month expiry option risk reversals Click here

Refinitiv IFR Research/Market Commentary


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